Unzip the file smlnj.zip to a location of your choice.  There are two
things to do "by hand" afterwards:

   - set the environment variable SMLNJ_HOME to
     the name of the directory that you unzip'd smlnj.zip
     into
   - add %SMLNJ_HOME%\bin to your path

Here is an example:  Suppose you unzip'd the .zip file into

    c:\sml\blume\smlnj

Then the value of SMLNJ_HOME should be that, i.e.,
the moral equivalent of

   set SMLNJ_HOME=c:\sml\blume\smlnj

needs to be carried out.  Moreover, you need to add the
string

  ;c:\sml\blume\smlnj\bin

to the end of your path variable, i.e., you need to execute

  path %PATH%;c:\sml\blume\smlnj\bin


Under win9x you need to either do this locally using the
command prompt before you run sml, or you edit autoexec.bat
and reboot.  

In WinXP you can do it by going to

   Control Panel->Performance and Maintenance->System->
   Advanced->Environment Variables

From there it is obvious what needs to be done (edit the PATH 
variable).

Once the two variables are properly set, you should be able to
launch sml/nj by typing "sml" into a command prompt...